How and when should I blow dry my hair?

I am a guy, my hair is pretty short. It’s THIN. Sometimes I’ll blow dry it, to give it some lift and volume. But I’m never sure whether I should put product in my hair first, how wet my hair should be, how much I should blow dry it. Basically I don’t know what I’m doing and I guess.

If anyone has tips for blow drying, and also for styling thin hair, that would be great. And when I say thin, I don’t mean thinning. I mean my hair is very fine. I’m trying to go for cool, messy, sort of up-dos. I know it can be done, because my stylist does it every time!